本研究探討面臨顯著背景風險（諸如核保等風險）金融機構之投資策略，考量加入國外投資風險下，該金融機構如何決定最適動態資產配置策略，為充分反映市場風險、匯率風險及核保風險，本研究以隨機方程式描述資產價值及核保經驗之變動，並以假想之人壽保險公司作為討論對象，預估未來現金流量並建構公司財務資訊相關之隨機模型，給定最低資本限制下，於指定投資期限內達到全期淨值(盈餘)最佳效用值為目標。本文依照給定之背景風險建構隨機控制模型，利用動態規劃法求出最適資產配置。結果顯示最適投資組合將由三項要素組成：1.極小化盈餘變化之變異數之部位；2.類似於短期投資組合策略之避險部位；以及3.用以規避背景風險之避險部位。因為模型複雜性之限制，以逼近馬可夫理論之數值方法計算最適投資策略。 / This paper analyzes the optimal asset allocation for insurers and investors who are required to cope with significant background risks due to underwriting uncertainties and interest rate risks among a set of stochastic investment opportunities. In order to hedge properly the country risks due to local volatile financial market, the foreign investment opportunities are included in the optimal portfolio decision. In this study, detailed formulation using the projected cash flows of a hypothetical life insurance company and its related stochastic phenomena are constructed. The insurers are assumed to maximize the expected discounted utility of their surplus over the investment horizon under the minimal capital requirement. Our problem is formulated as a stochastic control framework. According to the optimal solution, the optimal portfolio can be characterized by three components: a hedging component minimizing the variance of the change in surplus, a hedging component familiar to myopic portfolio rule, and a risk hedging component against the background risks. Since the explicit solutions cannot be achieved due to model complexity, the Markov chain approximation methods are employed to obtain the optimal control solutions in our numerical illustration.

Made available in DSpace on 2016-04-26T20:48:48Z (GMT). No. of bitstreams: 1 Cristiano Serrao.pdf: 265704 bytes, checksum: ddff2ca9e6d556d812ab50127beca2f2 (MD5) Previous issue date: 2005-05-10 / This paper s objective is to study the Brazilian crisis of the year of 2002. We believe that, as this is a recent event, there is room to new perceptions and interpretations. This paper will propose a new view on this crisis, based on the Credit Rationing Theory. Initially, we will do a brief review of the Credit Rationing Theory. We will focus on the key aspects of that theory, specially the ones that will allow us to apply such theory in the case study that we are working on. After that, we will analyze the historical context that led Brazil to that crisis. Initially, this study will be focused on the increase of the size of the flows that transited through Brazilian Financial Account in the period that precedes the crisis. We will also take a look in the historical context itself, and analyze the external influence in this crisis. Afterwards, this paper will study the Mark-to-Market crisis, which was the starting point of the Brazilian crisis of 2002. This event was responsible to raise doubts about the sustaintability of Brazilian public debt. Additionally we will study the dynamics of Brazilian public debt in the crisis period, which, in our opinion, had a highly relevant role in such event. / Essa dissertação pretende lançar um olhar mais detalhado à crise brasileira de 2002. Acredito que esse evento, por ser ainda recente, ainda não foi compreendido em toda a sua magnitude, e esse trabalho tem o objetivo de lançar uma interpretação plausível para o mesmo. Para isso, utilizaremos o instrumental teórico da Teoria do Racionamento de Crédito. Inicialmente, iremos fazer uma revisão da Teoria do Racionamento de Crédito, nos atendo aos pontos que serão úteis na aplicação dessa teoria ao caso prático. Em seguida, iremos expor os principais condicionantes da crise brasileira de 2002, nos atendo inicialmente ao movimento de flexibilização da conta Financeira brasileira nos anos que antecedem a crise. É dada especial ênfase à Conta de Investimento em Carteira. É também analisado o contexto histórico no qual a crise está inserida. O passo seguinte foi investigar em que medida essa crise foi originada também por motivos externos, ao comparar a piora dos indicadores de risco-país não só do Brasil, mas dos demais países emergentes também. A dissertação, por fim, irá se deter no período de crise em si. Iremos analisar a Crise da Marcação a Mercado , que foi o ponto inicial da crise brasileira de 2002, estudando suas origens e impactos na credibilidade da dívida pública brasileira. Segue-se a análise da dinâmica da dívida pública brasileira no período de crise, o que na nossa opinião possui um poder explicativo muito forte com relação ao evento em questão.

[pt] A globalização dos mercados financeiros das últimas décadas trouxe ao centro da discussão de finanças internacionais o conceito de risco-país. A importância do risco para a economia de um país está relacionada ao fato de que, em um ambiente de alta mobilidade de capital, ele acaba sendo um importante balizador da taxa de juros doméstica. Para que se possa compreender a evolução do risco de um país, medido pelo spread de seus títulos no mercado internacional, não basta entender a influência das características específicas dos países, mas é fundamental também avaliar o papel dos choques internacionais. Dentro deste arcabouço, o objetivo central desta dissertação é avaliar de maneira mais precisa o papel das variáveis externas na determinação dos spreads dos países emergentes. Mostraremos que para entender os choques externos sobre os spreads emergentes não basta observar os movimentos da taxa de juros livre de risco, como se supõe na literatura tradicional, mas também é preciso fazer considerações acerca da aversão ao risco dos investidores internacionais, e do contágio entre os países emergentes durante períodos de crise. / [en] The globalization in the financial markets during the last decades brought the concept of country risk to the center of the discussion in international finance. The importance of country risk is related to the fact that, in a high capital mobility environment, it becomes a important determinant of the domestic interest rate. To understand the evolution of the risk of a country, measured by the spread of its bonds in the international markets, it is important not only to comprehend the influence of its specific fundamentals, but also to evaluate the role of the external shocks. In this framework, the central goal of this dissertation is to evaluate more accurately the role of the external variables in the determination of the spreads of the emerging countries. It will be shown that to understand the external shocks it is not enough to observe only the movements of the free risk interest rate, as the traditional literature assume, but it is also necessary to take into account the risk aversion of the international investors, and the contagion between emerging economies during crisis time.

El presente trabajo de suficiencia profesional estudia el sector de tiendas por departamento en el mercado peruano durante los años 2009 y 2017. Asimismo, explica cuáles fueron las estrategias y formas de ingreso de las principales tiendas por departamento extranjeras en el Perú y las teorías que se encuentran detrás de su incursión. De la misma forma, el objetivo principal de esta investigación es establecer la relación que existe entre los factores macroeconómicos con la internacionalización de las tiendas por departamento en el mercado peruano durante el periodo 2009 al 2017. Además, se empleó una investigación cuantitativa, de alcance correlacional, diseño longitudinal no experimental de tendencia. También, se usó la técnica estadística no paramétrica bajo el análisis correlacional de Rho Spearman. Mediante el uso de la herramienta estadística informática SPSS se comprobó que si existe correlación entre los factores macroeconómicos y la internacionalización de las tiendas por departamento Saga Falabella, Ripley y Almacenes Paris en el mercado peruano. Para el caso de Saga Falabella, el índice de competitividad es el que presenta mayor incidencia en la internacionalización de la misma en el Perú durante los años 2009 y 2017. En cuanto a Tiendas por departamento Ripley, el PBI es el indicador que se correlaciona con mayor significancia. Sin embargo, es importante mencionar que, debido a la poca información disponible para Almacenes París, se decidió desarrollar un análisis descriptivo evolutivo a través de gráficos donde se visualizó que los indicadores macroeconómicos que se correlacionan con la internacionalización de la empresa durante los años 2013 y 2017 fueron la competitividad, el riesgo país y el ranking Doing Business publicado por el Banco Mundial. / The present work of professional sufficiency studies the sector of the department stores in the Peruvian market during the years 2009 and 2017. In addition, it is explained which were the strategies and income forms of the main foreign department stores and the theories that are behind their incursion.In the same way, the main objective of this research is to establish the relationship that exists between macroeconomic factors with the internationalization of department stores in the Peruvian market during the period 2009 to 2017.Also, the type of research used was quantitative, correlational, non-experimental longitudinal trend design. The statistical technique used was correlational analysis of Rho Spearman. Using the statistical tool SPSS, it is verified whether there is a correlation between macroeconomic factors and the internationalization of department stores Saga Falabella, Ripley and Almacenes París in the Peruvian market. In the case of the Saga Falabella, the competency index is the most important presentation in the internationalization of the same in Peru during the years 2009 and 2017. As for Department Stores Ripley, the GDP is the indicator that correlates with greater significance. However, it is important to mention that, due to the little information available for Almacenes París, an evolutive descriptive analysis can be developed through the graphs showing the macroeconomic indicators that correlate with the internationalization of the company during the years 2013 and 2017. And the results were competitiveness, country risk and ranking Doing Business publishes by the World Bank. / Tesis

Made available in DSpace on 2016-03-15T19:32:58Z (GMT). No. of bitstreams: 1 Marisa Gomes da Costa.pdf: 2649705 bytes, checksum: 9dfdf2c39e3c4389540dc1f3a8f8d26f (MD5) Previous issue date: 2016-02-01 / This study aims to identify the determinants of Brazil country risk level, during the period from February 1995 to August 2015, based on the deviations from the covered interest rate parity condition. These deviations represent a measure of the risk assumed by an investor who choose to invest in a Brazilian security in Brazil, rather than do it abroad. Using Autometrics, an algorithm for automatic model selection, developed by Doornik (2009), thirty-nine explanatories variables were selected from previous studies. The Brazil country risk level is susceptible to changes in the balance of payments, import by GDP, the deviation covered interest rate parity of the previous period, the inflation rate, the change in exports, total debt per GDP, and external debt by exports. / Este estudo propõe-se a identificar os fatores determinantes do nível do risco Brasil, durante o período de fevereiro de 1995 a agosto de 2015, calculado pelos desvios da condição da paridade coberta de juros. Estes desvios representam a medida do risco assumido por um investidor ao optar investir em um título brasileiro no Brasil, ao invés de fazê-lo no exterior. Utilizando a técnica de seleção automática de modelos com a aplicação do algoritmo Autometrics, desenvolvido por Doornik (2009), trinta e nove variáveis explicativas foram selecionadas a partir de estudos anteriores. O nível do risco Brasil é altamente suscetível às variações do balanço de pagamento, da importação por PIB, do desvio da condição da paridade coberta do período anterior, à taxa de inflação, à variação das exportações (em $ e em volume), à dívida total por PIB e à dívida externa pela exportação.

Thesis (MA)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: The petroleum industry concern itself with natural resource extracting activities which are highly sensitive for contributing to environmental degradation by oil spills or gas flaring. A large proportion of the world’s oil and gas reserves is located in developing countries where the presence of multinational oil corporations (MNOCs) is high as host countries often lack the infrastructure needed or are financially unable to conduct extracting operations on their own. The Niger Delta in southern Nigeria has one of the largest oil reserves in Africa and is one of the world’s leading oil exporters. MNOCs like Shell, Chevron, Total, ExxonMobil and Statoil are some of the firms present in the Niger Delta region. The oil-rich area in the developing country poses high levels of political risk for the MNOCs. Local grievances, paired with environmental degradation and human rights violations by the oil companies, have led to a tense relationship between the local stakeholders and the MNOCs, with so-called petro-violence at the center of the oil conflict. Frequently, oil installations are sabotaged and crude oil is stolen, causing major financial losses for the firms, and armed attacks on oil facilities and kidnapping of MNOCs’ staff constitute the majority of political risks facing MNOCs operating in the Niger Delta. This study investigates how MNOCs can successfully manage such political risks, providing a business advantage in a challenging business environment. By addressing the companys’ own behaviour, the research analyses if social engagement through corporate social responsibility (CSR) can mitigate political risk in the Niger Delta. The study looks at two different MNOCs operating in the Niger delta, Shell and Statoil, and scrutinises their methods of implementation of their CSR initiatives. The difference in approaches to CSR is elucidated where Shell claims it has repositioned its approach from a top-down angle during the first years of conducting CSR projects, to a more stakeholder-oriented approach. Yet, their approach is still found to carry elements of the previous top-down approach, and has not resulted in satisfactory performance in relation to stated goals. Statoil undertakes a stakeholder-oriented bottom-up approach, executed with a high level of commitment. The stated CSR goals have to a great extent been met. By assessing the two companies’ CSR strategies in relation to the frequency of political risks experienced by each MNOC, the study finds that CSR has the potential to mitigate political risk depending on the approach to implementation, and could serve as a political risk management strategy. / AFRIKAANSE OPSOMMING: Die brandstofbedryf is betrokke by die ontginning van natuurlike hulpbronne, ’n aktiwiteit wat hoogs sensitief is vir sy bydrae tot omgewingsbesoedeling as gevolg van storting van olie en opvlamming van gas. ’n Baie groot deel van die wêreld se olie en gas reserwes word aangetref in ontwikkelende lande. Die teenwoordigheid van Multinasionale Olie Korporasies (MNOKs) in hierdie lande is groot omdat daar gewoonlik ’n gebrek aan toepaslike infrastruktuur is en die lande ook nie finansieel in staat mag wees om die ontginning op hulle eie te doen nie. Die Niger Delta in die Suide van Nigerië beskik oor een van die grootste olie reserwes in Afrika en is een van die voorste olie uitvoerders in die wêreld. Shell, Chevron, Total, ExxonMobil en Statoil is van die bekende MNOK wat ontginning doen in die Niger Delta gebied. Die olieryke gebiede in ’n ontwikkelende land kan groot politieke risiko vir die MNOKs inhou. Plaaslike griewe gekoppel aan omgewings besoedeling en menseregte skendings deur die oliemaatskappye het gelei tot ’n gespanne verhouding tussen hulle en die plaaslike belange groepe, en sogenaamde “petrogeweld” staan sentraal hierin. Heel gereeld word olie-installasies gesaboteer en ru-olie word gesteel, wat natuurlik groot finansiële verliese die firmas inhou. Daarby word gewapende aanvalle op die olie-installasies uitgevoer en van die MNOKs se personeel ontvoer. Al hierdie dinge vorm die groot politieke risiko’s wat die MNOKs in die Niger Delta in die gesig staar. Hierdie studie ondersoek hoe die MNOKs met welslae hierdie politieke risiko’s kan teenwerk om vir hulle ’n suksesvolle besigheid te vestig in ’n baie mededingende bedryfsomgewing. Deur te kyk na die maatskappy se eie gedrag, sal die navorsing analiseer of gemeenskapsbetrokkenheid deur korporatiewe sosiale verantwoordelikheid (KSV) die politieke risiko in die Niger Delta kan temper. Die studie kyk na twee verskillende MNOK wat in die gebied bedryf word, Shell en Statoil, en kyk noukeurig na die manier waarop hulle KSV inisiatiewe toegepas word. Die verskil in benadering tot die probleem word toegelig deur die feit dat Shell beweer dat hulle ’n bo-na-onder benadering in die beginjare van KSV projekte verander het na ’n beleid waar meer na die betrokkenheid van belangegroepe gekyk word. Tog word gevind dat daar nog oorblyfsels is van die bo-na-onder benadering en dat doelwitte wat gestel is nie bevredigend bereik is nie. Statoil daarenteen. Implementeer ’n onder-na-bo benadering met betrokkenheid van belangegroepe en ’n hoë vlak van toewyding deur die maatskappy. Die gestelde KSV doelwitte is grootliks behaal. Deur te kyk na die twee maatskappye se ervaring van politieke risiko in verhouding met hulle KSV strategieë bevind hierdie studie dat KSV wel die potensiaal het om, as dit suksesvol toegepas word, politieke risiko te temper en dus kan die as ’n strategie om sodanige risiko te bestuur.

Thesis (MA (Political Science))--University of Stellenbosch, 2010. / ENGLISH ABSTRACT: Political risk analysis is considered one of the essential ingredients in decision making processes when investing abroad. The Iranian Revolution and the oil crisis in the 1970s accentuated this need as investors increasingly felt the need for a proper assessment of the risks involved in establishing a business in other countries. Negative images of African countries combined with conventional risk models which are not able to accurately assess the political risk realities of post-conflict African countries, may be one of the reasons for why African countries struggle to attract a substantial amount of FDI. This study suggests that alternative risk models which are more African-orientated may aid in improving this situation. This study has analysed the political risk of Sierra Leone using a conventional risk model, and an African-orientated political risk model. The aim of this study was to assess whether conventional political risk models need to be adjusted to be able to more accurately assess the political risk of post-conflict African countries. The main research question guiding this study was:  Are conventional risk models able to objectively rate the political risk of post-conflict countries in Africa? The conclusion of this research was that African-orientated political risk models are able to more accurately assess the political risk of a post-conflict African country such as Sierra Leone. This is mainly due to the soft variables used in a political risk model and also the relationship between the variables included in the models. The African-orientated political risk model needs to be analysed further, but this research has made clear the need for a reevaluation of existing political risk models to be better equipped when analysing post-conflict African countries. This will not only benefit African post-conflict countries in improving their risk ratings, but also provide foreign investors with a more accurate identification of the potential political risks facing an investment in post-conflict African countries. It was acknowledged in this study that the political risk analyses of Sierra Leone were not conducted by someone who has inside information of the political risk models used which is a limitation iii for the results of this study. It is, however, possible to detect potential weaknesses with each political risk model and possible areas of improvements. / AFRIKAANSE OPSOMMING: Politieke Risiko Analise word as een van die belangrikste bestandele in die besluitnemingsproses geag wanneer daar oorsee belê word. Die Iranese Rewolusie en die Olie krisis in die 1970’s het hierdie nood beklemtoon, aangesien beleggers toenemend die belang van deurdagte assesering van die risikos in verband met die oprigting en instandhouding van besighede in ander lande erken het. Negatiewe opvattings van Afrika lande, tesame met konventionele risiko modelle wat nie geskik is on akkurate asseserings van politike risiko realiteite op te lewer, is dalk van die redes waarom Afrika lande sukkel om groot Direkte Buitelandse Beleggings te lok. Hierdie studie stel voor dat alternatiewe risiko modelle wat meer Afrika-gesind van aard is die situasie kan help oorbrug. Hierdie studie het die politieke risiko situasie van die Sierra Leone analiseer aangaande‘n konvensionele riskio model en met behulp van’n Afrika-georienteerde politieke risiko model. Die studie het gepoog om te assesseer of die konvensionele modelle van politieke risiko gewysig moet word om in staat te wees om meer akkuraat te oordeel in verband met politieke risiko in post-konflik Afrika lande. Die hoof navorsingsvraag wat die studie gedryf het is die volgende: Is die konvensionele risiko modelle in staat om objektief te werk te gaan om die politieke risiko van post-konflik lande in Afrika te meet? Die gevolgtrekking van hierdie navorsing is dat die Afrika-georienteerde politieke risiko modelle meer gepas is om die politike risiko van post-konflik lande soos Sierra Leone te meet. Dit is hoofsaaklik die geval weens die sagte veranderlikes wat gebruik word in’n politieke risiko model asook die verband tussen die veranderlikes wat in die model ingesluit word. Die Afrika-georienteerde politieke risiko model moet verder uitgebrei word, alhoewel hierdie navorsing dit duidelik maak dat die belang bestaan vir‘n herevaluering van die bestaande politieke risiko modelle om beter toegerus te wees om analise van post-konflik Afrika lande uit te voer. Dit word erken dat hierdie studie van die politieke risiko van Sierra Leone nie uitgevoer was deur iemand wat‘n intieme kennis van politieke risiko modelle het nie. Dit is uiteindelik wel moontlik on potensiele swak plekke in die mondering van elke politieke risiko model uit te sonder, en moontlike areas van verbetering voor te stel.

Les stratégies d’internationalisation des banques européennes sont-elles efficaces ? Cette thèse analyse le lien entre l’internationalisation des banques et leur performance. L’objectif étant de vérifier s’il existe des modalités d’implantation qui expliquent les écarts de bénéfices entre les établissements bancaires européens. Nous nous focalisons sur trois types de stratégies d’implantation : l’installation de filiales, les alliances ou partenariats avec des entreprises étrangères et les fusions et acquisitions transfrontalières. Parmi les filiales étrangères nous distinguons les filiales qui portent l’enseigne du groupe de celles qui portent un autre nom. Cette distinction nous permet d’analyser l’impact sur la performance du choix de garder ou non l’enseigne du groupe lors du déploiement international. Nos résultats montrent qu’il existe bien des modalités expliquant des différences de rentabilité entre les établissements. En effet, il semble qu’une implantation via des filiales portant le nom du groupe bancaire ait un impact négatif sur la performance. Par ailleurs, nous avons aussi relevé que la réalisation de partenariats transfrontaliers dans plus de dix secteurs différents n’est pas bénéfique pour la banque. / Are European banks’ cross-border strategies effective? This thesis analyzes the relationship between European banks’internationalization strategies and their performance. We investigate whether there are internationalization strategies that explain differences between European banks’ profits. We focus on three types of implementation strategies: at first, the installation of subsidiaries, then, alliances or partnerships with foreign companies and last but not least, cross-border mergers and acquisitions. Among foreign subsidiaries we distinguish those which carry the the group’s brand from those which carry a different name. This distinction allows us to analyze the results a bank can expect by keeping its company name while expanding overseas. Our results show that there are strategies that explain differences in profitability between institutions. Indeed, it appears that internationalization through subsidiaries with a brand perspective has a negative impact on performance. In addition, we also note that the implementation of cross-border partnerships in more than ten different sectors is not beneficial for the bank.

The aim of the work is to analyze the theoretical basis of determination of the market risk premium in conditions of the national market in the Czech Republic with CAPM and practical procedures of its determination using the market data provided by Bloomberg. The work addresses some open problems of practical determination of market risk premium as a choice between historical and implied risk premium, determination of credit spread as a representative of country risk and accurate determination of the equity and bond market volatility ratio. The thesis also contains research on the cost of equity and single-factor sensitivity analysis demonstrating the significant influence of a small change in one parameter entering the calculation of the discount rate on the resulting value.